Thanks, guys! 'Twas a very easy project. Here's a tutorial (followed by things I might do differently):
First determine the approx. diameter you want your hat to be. Now cut a circle, slightly larger than finished diameter, from a stiff material of your choosing. I used a sheet of black posterboard, which is like very stiff cardstock. Cut a wedge out of your circle, then bring the edges together and attach securely (I think I used a hot glue gun) to make a shallow cone.
To make the inside look pretty, since it will be visible, cover it with fabric. I used a spray adhesive to stick a piece of black velvet over the inside, wrapping it up over the edge.
For the next step, you need a big, fat feather boa--the kind that are readily available for a reasonable price at this time of year. Try to find the really fat, fluffy kind. Starting at the top or bottom of your cone (it really doesn't matter which), attach one end of your boa. I used a dot of hot glue. Spiral the boa around the cone, securing it with another dot of glue every so often. You don't need to keep the spiral very tight, since the feathers fill in the spaces fairly well, but remember that your cone will peek through here and there, so it should be the same colour as your feathers. I started at the bottom and spiralled up, and didn't bring it quite to the very top of the cone, so it has a slightly rounded look at the top, rather than a point.
Congratulations! You are the proud owner of a big ol' feathery hat!
Things I might do differently: rather than posterboard, this might work with a stiff interfacing, cut in a circle and fused to the lining fabric. I'd leave a bit of fabric overhang, to wrap over and conceal the raw edge. Then I'd cut the wedge out and make the cone shape (sew it or glue it), and wrap the overhang around the edge. The boa would attach in the same way.
To keep it on my head, I put two eyelets in the cone before I attached the boa. Through the eyelets, I poked two sticks through the hat and into my hair, which was in an updo. My sticks were bamboo skewers--I coloured them black with a marker, and glued pretty buttons on the ends. They wouldn't hold up in a stiff wind, but they worked fine for me. You could also try gluing (or stitching, if you go the interfacing route) a comb or two into the inside of the hat.
If any of this is unclear, shout it out and I'll try to clarify.
Oh, and yes, I made the wrap too. Similarly simple--it's a square, with an opening from one corner to the center, where there's a small circle cut out to fit around my neck. I lined it with a taupe satin. I finished this moments before we left.
One more thing...here's what the baby looks like lately: